My skinned model gets smaller and deform badly, when I rotate its bone in Z-axis
You haven't weight painted your model

From the Wiki
Weight Paint in a nutshell

Weight Painted Vertex Group


  
  You enter Weight Paint mode from the Mode Menu Ctrl-Tab). The selected Mesh Object is displayed
  slightly shaded with a rainbow color spectrum.
  The color visualizes the weights associated to each vertex in the active Vertex Group. Blue means unweighted; Red means fully weighted.